Math 256 - Assignment 8 Portfolio allocation
© 2012 - Steven Tschantz
Math 256 - Assignment 8 Portfolio allocation Enter your name here 2/28/12
Exercises Complete the following exercises. You can save a copy of this notebook, delete the material above, insert and evaluate your commands computing answers below, save your results, and email your final version to [email protected]
1. Calculate the Kelly criterion strategy for the fraction of your fortune you should bet if you get a return of 20 times your bet one tenth of the time and nothing the rest of the time. In[1]:= Out[1]= In[2]:=
Solve@D@Log@1 + w * 19D * 0.1 + Log@1 - wD * 0.9, wD 0, wD 88w ® 0.0526316
Math 256 - Assignment 8 Portfolio allocation Enter your name here 2/28/12
Exercises Complete the following exercises. You can save a copy of this notebook, delete the material above, insert and evaluate your commands computing answers below, save your results, and email your final version to [email protected]
1. Calculate the Kelly criterion strategy for the fraction of your fortune you should bet if you get a return of 20 times your bet one tenth of the time and nothing the rest of the time. In[1]:= Out[1]= In[2]:=
Solve@D@Log@1 + w * 19D * 0.1 + Log@1 - wD * 0.9, wD 0, wD 88w ® 0.0526316
